Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach

DOI10.1007/S10436-012-0219-9MaRDI QIDQ470658zbMATH OpenOpenAlexFDO

Authors Thomas C. H. Lux

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/60335

zbMATH Keywords

Fokker-Planck equationstochastic differential equationsfinite difference schemesasset pricingnumerical maximum likelihood

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Estimating parameters in diffusion processes using an approximate maximum likelihood approach
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• scientific article; zbMATH DE number 758455
• Estimating the parameters of stochastic differential equations
• Maximum likelihood estimation of time-inhomogeneous diffusions.

Cites work

• scientific article; zbMATH DE number 996056 (Why is no real title available?)
• scientific article; zbMATH DE number 54270 (Why is no real title available?)
• scientific article; zbMATH DE number 702539 (Why is no real title available?)
• scientific article; zbMATH DE number 2152342 (Why is no real title available?)
• scientific article; zbMATH DE number 3333735 (Why is no real title available?)
• A Stochastic Version of Zeeman's Market Model
• Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
• An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
• An alternating-direction implicit scheme for parabolic equations with mixed derivatives
• Can a stochastic cusp catastrophe model explain stock market crashes?
• Estimation of an agent-based model of investor sentiment formation in financial markets
• FINITE DIFFERENCE SCHEMES WITH CROSS DERIVATIVES CORRECTORS FOR MULTIDIMENSIONAL PARABOLIC SYSTEMS
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Simulation and inference for stochastic differential equations. With R examples.

Cited in

(5)

• Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
• Parametric Inference for Discretely Sampled Stochastic Differential Equations
• Maximum likelihood estimates of a class of one-dimensional stochastic differential equation models from discrete data
• Sentiment contagion analysis of interacting investors: evidence from China's stock forum
• Estimating parameters in diffusion processes using an approximate maximum likelihood approach

This page was built for publication: Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470658)